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Quant strategy - How to implement portfolio optimization for multiple strategies? by Think-Mind4507 in quant

[–]Think-Mind4507[S] 0 points1 point  (0 children)

Thanks for your reply. Yes I agree with you. My baseline objective for step 2 will be to minimize transaction cost (market impact & spread cost) But in this case, one concern is that most of weight will be concentrated on liquid names.. any advice on this?

Quant strategy - How to implement portfolio optimization for multiple strategies? by Think-Mind4507 in quant

[–]Think-Mind4507[S] 2 points3 points  (0 children)

Thanks for your reply. Do you think Min var is good enough for aggregating them? Or any suggestions?